Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 3 | 3 | 3 |
| Score | 0.8 | 1.07 | 0.16 |
| Market Cap (Millions USD) | 11309.56 | 10935.04 | 10451.54 |
| Predicted Beta | 0.8 | 0.82 | 0.81 |
| Idiosyncratic Volatility | 1.46 | 1.91 | 2.03 |
Annualized return and volatility
| IWS | |
|---|---|
| Annualized Return | 0.0931 |
| Annualized Std Dev | 0.1927 |
| Annualized Sharpe (Rf=0%) | 0.4830 |
Row
Daily Return Statistics
| IWS | |
|---|---|
| Observations | 4707.0000 |
| NAs | 407.0000 |
| Minimum | -0.0983 |
| Quartile 1 | -0.0046 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0061 |
| Maximum | 0.0881 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0001 |
| Stdev | 0.0121 |
| Skewness | -0.3696 |
| Kurtosis | 8.0718 |
Downside Risk
| IWS | |
|---|---|
| Semi Deviation | 0.0089 |
| Gain Deviation | 0.0085 |
| Loss Deviation | 0.0099 |
| Downside Deviation (MAR=210%) | 0.0134 |
| Downside Deviation (Rf=0%) | 0.0087 |
| Downside Deviation (0%) | 0.0087 |
| Maximum Drawdown | 0.6240 |
| Historical VaR (95%) | -0.0181 |
| Historical ES (95%) | -0.0300 |
| Modified VaR (95%) | -0.0188 |
| Modified ES (95%) | -0.0358 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2012-09-06 | -0.6240 | 1350 | 455 | 895 |
| 2002-04-11 | 2002-10-09 | 2003-09-02 | -0.3036 | 360 | 129 | 231 |
| 2018-09-24 | 2018-12-24 | 2019-07-05 | -0.2076 | 199 | 65 | 134 |
| 2015-03-23 | 2016-02-11 | 2016-06-07 | -0.1903 | 310 | 229 | 81 |
| 2001-08-06 | 2001-09-21 | 2002-01-04 | -0.1720 | 105 | 31 | 74 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IWS | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | 0.0 | -0.7 | 0.7 | 0.0 | 0.0 | 0.0 |
| 2002 | -0.8 | 1.2 | -0.2 | 0.2 | 0.0 | -0.6 | -1.4 | 0.0 | 0.0 | 1.8 | 0.0 | 0.0 | 0.0 |
| 2003 | 0.0 | 0.0 | 0.9 | -0.4 | 0.0 | 0.1 | -1.4 | 0.0 | 1.6 | 0.0 | 1.2 | 0.0 | 1.9 |
| 2004 | 0.0 | 0.9 | 0.7 | 0.0 | 0.0 | -1.2 | 0.0 | 0.4 | 1.6 | 0.3 | 1.0 | 0.0 | 3.7 |
| 2005 | 0.9 | 0.8 | 0.2 | 0.0 | 0.9 | 0.7 | 0.0 | 0.3 | 0.0 | -0.2 | 1.3 | 0.0 | 5.0 |
| 2006 | 0.3 | 0.8 | 0.0 | -0.4 | 1.1 | 0.0 | -0.3 | 0.3 | 0.0 | -0.7 | -0.2 | 0.0 | 1.1 |
| 2007 | 0.9 | -0.3 | 0.0 | 0.2 | 0.7 | 0.0 | 0.7 | 0.0 | 1.3 | -2.5 | 0.0 | 0.0 | 0.7 |
| 2008 | 2.3 | 0.0 | 3.7 | 1.7 | 0.0 | 0.0 | -0.3 | 0.0 | -0.1 | 0.0 | -9.8 | 0.0 | -3.1 |
| 2009 | 0.0 | 0.0 | 1.8 | -0.2 | 3.1 | 0.9 | 0.0 | -2.6 | -3.4 | 0.0 | 1.2 | 0.0 | 0.7 |
| 2010 | 1.7 | 1.8 | 1.2 | 0.0 | -2.6 | -0.6 | 0.0 | 3.3 | 0.6 | 0.0 | 2.0 | 0.0 | 7.4 |
| 2011 | 1.4 | -1.8 | 0.7 | 0.0 | -2.4 | 1.7 | -0.9 | -1.5 | 0.0 | -3.2 | -0.3 | 0.0 | -6.1 |
| 2012 | 1.4 | 0.7 | 0.0 | 0.7 | -2.8 | 0.0 | -0.4 | 0.0 | -0.1 | 1.6 | 0.0 | 0.0 | 1.1 |
| 2013 | 0.8 | 0.0 | -0.5 | -1.2 | 0.0 | 0.8 | 1.6 | 0.0 | 1.0 | 0.2 | 0.0 | 0.0 | 2.7 |
| 2014 | 0.0 | 0.0 | 0.7 | 0.2 | 0.0 | 0.3 | -0.2 | 0.0 | -1.1 | 0.0 | -0.9 | 0.0 | -1.0 |
| 2015 | 0.0 | 0.0 | -0.3 | 0.9 | 0.2 | 0.5 | 0.0 | -3.0 | -0.1 | 0.0 | 1.0 | 0.0 | -0.9 |
| 2016 | -0.1 | 2.0 | 0.3 | 0.0 | 0.2 | 0.3 | -0.6 | -0.2 | 0.0 | -1.0 | -0.2 | 0.0 | 0.6 |
| 2017 | -0.3 | 1.3 | 0.0 | 0.1 | 1.2 | 0.0 | 0.1 | 0.5 | 0.0 | 0.1 | 0.0 | 0.0 | 3.0 |
| 2018 | -0.2 | -0.6 | 0.0 | -0.1 | 0.6 | 0.0 | -0.7 | 0.0 | -0.2 | 1.6 | 0.0 | 0.0 | 0.3 |
| 2019 | 0.2 | 0.6 | 1.2 | -1.0 | 0.0 | 0.6 | -1.4 | 0.0 | -1.7 | 1.3 | 0.0 | 0.1 | -0.2 |
Row
Rolling Performance Chart
Snail Trail Chart
